True, but of course there's nothing stopping you from working on a local Linux system in a terminal window in the GUI, or over a telnet or SSH connection from your PC. No, you won't experience network lag, but that's a good thing. :)
It's useful to also learn to use a Linux GUI, and learn to use Linux locally to control your remote site. A local Linux system provides you with a GREAT DEAL more functionality for working with a remote Linux system than does Windows. It is a much more seamless integration.